May 2009

Several asset categories in A/L BENCHMARKS include a basic base-case prepayment speed assumption. In order to customize the results to their bank, clients provide their own base case prepayment speed. Typically we like to see speeds specified as either CPR (conditional prepayment rate) or PSA (Public Securities Association). If you capture prepayment data for your various loan portfolios using SMM (single monthly mortality) you can use the conversion tool shown at the right to convert the speed to PSA or CPR.

Nice short discussion about Fair Value accounting. It’s no secret that I agree with what Brian says. Here’s another recent article by him about fair value accounting.

Listening to Brian speak about complex economic/financial subjects is a breath of fresh air compared to the droning you normally hear at a trade conferences or on the news. I was fortunate enough to be on the same agenda with Brian back in the mid-to-late 1990’s. He was working for GKST and I was trying to promote A/L BENCHMARKS as a standard for interest rate risk measurement for banks. We were doing a “road show” of sorts promoting the investment firm and its related products and services. I was a bit inexperienced and naive back then with only eight short years in banking. I really enjoyed hearing him present. If you have a chance to catch one of his presentations - don’t pass it up.